We introduce a robust, flexible and easy-to-implement method for estimating the yield curve from Treasury securities. This method is non-parametric and optimally learns basis functions in reproducing Hilbert spaces with an economically motivated smoothness reward. We provide a closed-form...

En este estudio, proponemos un nuevo tipo de distribución semi-noparamétrica (SNP) para describir la densidad de los rendimientos de las carteras de activos. Esta distribución, denominada «expansión de momentos multivariante» (MME), admite cualquier distribución (multivariante)...

This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility of S&P500 index returns. In this new model, the coeffcients of the HAR are allowed to be time-varying with unknown functional forms. We propose a local linear method for...